I am given two data sets containing dates and losses (in some currency).
Given a distribution for the amount of losses and an (a,b,0) distribution for frequency of losses, how can I use Monte Carlo ...

Suppose I want to calculate VaR for a known distribution with mean $\mu$, variance $\sigma^2$ and $\alpha$-quantile as, $VaR_{\alpha}$ = $\mu + \sigma q_{\alpha}$.
For a Gaussian distribution it is ...

I have built an asset allocation model (plain vanilla risk parity) but I would like to adapt the initial asset allocation with respect to potential futures changes in the trends of the assets under ...

New here and I have a question that may be very basic but despite my research I cannot connect the dots.
I would like to know how to connect the nxn asset covariance matrix for an efficient tangency ...

I read somewhere that to generate Alpha one has to take idiosyncratic risks.
But is it not possible to generate alpha by taking just systematic risks. There could be a asset allocation strategy where ...

According to my finance lecture, the motivation for risk measures is grounded in the solvency problem:
Risk measures are used to determine the amount of capital to avoid insolvency of the financial ...

I was working on risk levels of a combined portolfio (includes options,futures as well as stock).
While using greeks we can asses some value of a portolio, but when one needs to assess some kind of ...

I have been told that under Basel II the minimum PD that one can assign to any portfolio/segment classified under the retail asset class is 0.33%.
But Google searches return nothing and I can't seem ...

I have some trouble solving the following question:
We have an european call and put option (with the same maturity date $T$ en strike $E=10$). The stock price now is $S=11$ and we use a continuous ...

Suppose a consumer has log-utility over wealth, defined by $u(W) = \ln(W)$.
Suppose this consumer has $100$, and is considering taking a gamble in which
the consumer flips a coin, and gets $20$ she ...